Financial Freedom Management LLC

Ivy 5 Downside Protected



  • Strategy ETFs / Funds
The Ivy 5 Downside Protected (Ivy 5) portfolio is a global asset allocation strategy.  The Ivy 5 implements a strategy used by the large Ivy League endowments as researched by Faber and Richardson (2009).  The five asset classes that the Ivy 5 portfolio invests in are US equities, foreign equities, fixed income, real estate, and commodities.  Over this set of assets we layer on quantitative risk management strategies that seek to reduce the volatility and drawdowns of the portfolio.  The latest quantitative research is employed to improve the risk-return characteristics of the portfolio.
Invest Globally: Diversification of equities and fixed income investments across geographic markets allows us to benefit from opportunities outside the US.  We thus also protect ourselves from being overly concentrated in one country.  Additionally, we benefit from reduced volatility and drawdowns.

Invest in Real Assets: Historical data suggests we can improve the risk-return profile of a portfolio by adding non-correlated assets. Commodities and real estate (REITs) provide assets that are not well correlated to equities and fixed income investments.

Add Size, Value and Momentum factors: We take advantage of the academic research to add small cap, value and momentum factors to the portfolio.  The result once again is that the risk-return profile of the portfolio improves.

Manage the Downside: Historical data suggests that, by implementing systematic rules to exit positions, the volatility and drawdowns of a portfolio can be improved.   Downside protection can also improve returns over very long time frames.
The firm utilizes academic and industry research from Faber, Antonacci, AQR, and Alpha Architects, among others, to implement quantitative strategies.  We supplement these sources with in-house research to select investment vehicles.
1. Security Universe:  Equal weight among the five asset classes used: US domestic equities; foreign equities; fixed income; real estate; and commodities. As with equities the fixed income and real estate areas are diversified globally.  Commodities are split along the lines of energy, base metals, and precious metals producers. We also hold an allocation to managed futures in the commodities allocation.

2. Security candidates:  We select ETFs to represent portions of each asset class where possible.  The only exception area is that of gold where we use a basket of securities to represent the allocation. We look for candidates that provide small cap, value and momentum exposure.

3.  Security weights:  Each asset area in the Ivy 5 receives a 20% allocation at the initial portfolio formation.  The largest individual positions will typically be in the broad based REIT ETFs with a maximum position size of 10% of the model portfolio.

4. Portfolio Characteristics:  The historical model suggests that the portfolio will be over 75% invested close to 60% of the time.  Our risk management rules decide whether to invest in a given position.  If an investment is not made in a position that allocation is kept in cash. From a historical perspective we expect approximately 14 roundtrip trades per year on average.  Significantly, winning trades tend to be held for longer than a year while losing trades tend to be held less than a year.
Portfolios are rebalanced monthly for downside protection.  Quantitative methods are used to arrive at trend and absolute momentum criteria for exiting or reducing exposure to positions.  A stop loss is implemented to exit positions that are historically overvalued and have lost 5% from their peak in the current month.

Portfolio Manager performance

-0.3%

Last 30 days

30D

4.0%

Last 90 days

90D

5.4%

Last 365 days

365D

Quarterly vs S&P500

Quarterly vs S&P500

Risk score

  • 2.3%

    Best quarter

  • -2.2%

    Worst quarter

    • 0.75% fee
    • $15,000 min
  • Required: Margin account

Portfolio Manager performance graph

All performance information on this page is based on the performance of the Portfolio Manager’s account. Client performance may differ. Client account performance is displayed on the client dashboard.

Performance Portfolio inception September 12, 2016

as of September 25, 2017 Manager (net of fees ) S&P 500
Last 30 days -0.3% 2.2%
Last 90 days 4.0% 3.2%
Last 365 Days 5.4% 15.3%
Since inception (Annualized) 6.2% 15.1%
2017 (YTD) 7.4% 11.5%

Risk metrics Last 365 days

as of September 25, 2017 Manager (net of fees ) S&P 500
Volatility 5.5% 7.6%
Sharpe Ratio 0.79 1.88
Sortino Ratio 1.29 2.70
Maximum Drawdown -3.5% -4.0%
Value-at-risk (95%, 1 week) -1.3% -1.8%
vs. S&P 500
Information Ratio -1.57
Alpha -0.6%
Beta 0.41
R-Squared 0.33

Exposure

48.0%
20.6%
12.3%
5.3%
  • Equity Fund
  • Fixed Income Fund
  • Specialty Fund
  • Basic Materials

Top 5 securities

12.3%
9.3%
9.2%
9.1%
5.5%
View all

Latest transactions Average trades per month 6.3

Executed Symbol Security Type Price
July 05, 2017 VNQ Vanguard REIT ETF Buy $83.37
June 12, 2017 EYLD Cambria Emerging Shareholder Yield ETF Sell $29.98
June 12, 2017 SOVB Cambria Sovereign High Yield Bond ETF Sell $28.32
June 12, 2017 IVAL ValueShares International Quantitative Value ETF Sell $29.92
June 12, 2017 GVAL Cambria Global Value ETF Sell $23.44
June 12, 2017 TAIL Cambria Tail Risk ETF Sell $24.75
June 12, 2017 TIP iShares TIPS Bond ETF Sell $114.21
June 12, 2017 VNQI Vanguard Global ex-U.S. Real Estate ETF Sell $56.96
View all

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Important Information

  1. Past performance is no guarantee of future results, and all investments, including those in this portfolio, involve the risk of loss, including loss of principal and a reduction in earnings.  
  2. All performance information on this page is based on the performance of the Portfolio Manager’s account, using the manager’s own funds. Portfolio Manager’s pre-IB Asset Management performance information may include performance of non-IB Asset Management client accounts. Performance of the Portfolio Manager's account is calculated by IB Asset Management on a daily time-weighted basis, including cash, dividends and earnings distributions and reflects the deduction of broker commissions. Manager returns include trades and positions that fail IB Asset Management's trading rules, as a result, actual client returns will differ. IB Asset Management advisory fees are simulated and applied retroactively to present the portfolio return "net-of-fees".
  3. None of the performance information displayed on this page is based on the actual performance of any IB Asset Management client account investing in this portfolio. The performance in an IB Asset Management client account invested in this portfolio may differ (i.e., be lower or higher) from the Portfolio Manager’s account performance based on any trading restrictions imposed by the client (resulting in different account holdings), time of initial investment, amount of investment, frequency and size of cash flows in and out of the client account, applicable brokerage commissions, and different corporate actions. Clients investing in this portfolio may view the actual performance of their investment in this portfolio by logging into their IB Asset Management account and reviewing their customized dashboard.
  4. All graph data is as of the end of day for the referenced period, unless otherwise specified. The investment minimum is the minimum investment required to follow a particular portfolio. The minimum amount is determined by IB Asset Management, based on the characteristics of the underlying portfolio. It should not be considered as specific investment advice for your investment situation.
  5. The performance charts are provided for informational purposes only, and should not be used as the basis for making an investment decision. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors to provide these returns. Neither IB Asset Management nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.
  6. Benchmark returns displayed have been calculated by IB Asset Management using daily benchmark prices and do not include dividend income. More information here. For certain portfolios IB Asset Management uses an index as a benchmark, while for others it uses an investable exchange traded fund (ETF) as a benchmark. Index returns do not reflect the deduction of any management fees, transaction costs or expenses. Individuals cannot invest directly in an index. Investable ETF returns reflect the deduction of (i.e., are net of) management fees, transaction costs and expenses.
  7. All Portfolio Manager information including personal data, profiles, strategies, monthly investment reports, and historical results outside of IB Asset Management has been provided by the Portfolio Manager. IB Asset Management makes no representation or warranty of its accuracy, completeness or relevance and it does not represent the opinions of IB Asset Management. Transaction history of Portfolio Managers is available upon request. Portfolio classifications are provided by IB Asset Management, and are intended to serve as a general guide.
  8. Not all transactions listed will appear in accounts due to IB Asset Management's trading rules and individual client constraints. Eligibility of these securities is monitored periodically, and may change over time. Actual client investment holdings may vary.